The present invention relates to electronic securities trading.
The volume-weighted average price (VWAP) of a security is an average price of the security in trades executed in a specified market during a defined time period, weighted according to the number of shares involved in the trades.
Known electronic VWAP trading systems typically provide fixed time periods for traders to enter orders blindly, for example, without the system providing any information concerning other VWAP orders or matched trades. After the time period for entering VWAP orders has expired, the trader is notified if and to what extent the order has been matched. Known electronic VWAP systems do not display orders or matched trades.